Výsledky vyhledávání - "Frank J Fabozzi"

Akademický článek

Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model

Autor: W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi

Publikováno v: Risks, Vol 12, Iss 9, p 136 (2024)

We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the

Externí odkaz: https://doaj.org/article/7779ae2dec514e9e98b0dfcd6c90ce5d

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Akademický článek

A New Set of Financial Instruments

Autor: Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Publikováno v: Frontiers in Applied Mathematics and Statistics, Vol 6 (2020)

In complete markets there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for hedging derivat

Externí odkaz: https://doaj.org/article/f4ac889731cf49abbe5a71c30801648f

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